For safer listening use media player classic, winamp or openvcl. Windows media player and real media player are unsafe due to possibility of macro use inside mp3 files.
The most common viruses are trojans that try to steal personal information, and zombie botnets which spammers use to compromise network servers and send out spam email through them without the user knowing (eating cpu and network resources).
You can also use process monitor to check and see exactly what a file does